Risk
Banks respond differently to capital target deviations, ECB paper shows
Working paper finds banks tend to reshuffle risk-weighted assets or increase holdings when above Tier I ratio, but more inclined to increase equity levels when below target
BoE official calls for greater transparency on CCP margin modelling
Central counterparties should compete on quality of risk management, rather than a race to the bottom on margins, says Bank of England's head of payments and infrastructure
IMF paper presents Global VAR model for analysing banking and sovereign risks
Researchers develop a global vector autoregression model that incorporates forward-looking contingent claims into its analysis of banking systems, sovereigns and macroeconomic conditions
Malaysia deputy touts progress on money laundering, terrorism financing
Alshari Yahaya also notes due diligence in some instances remains inadequate and not reflective of the level of risks; says 'reward system' should reflect strong risk culture and performance
Buba paper: Banks with volatile loan demand load up on wholesale funds
Bundesbank discussion paper argues ‘loan uncertainty' not only result but determinant of wholesale funding, implying regulatory cap on wholesale funding increases exposure to ‘asset-side shocks'
Adherence to Islamic financing principles could benefit credit unions
Islamic savings products would make institutions more resilient, and possibly strengthen incentives for good governance, IMF working paper argues
Swelling profits explain rebound in risk appetite, San Fran Fed paper suggests
Research indicates corporate profit growth explains 40% of the decline in the spread between risky and risk-free bonds, according to economic letter by research vice-president
IMF user guide takes stock of current toolkit for systemic risk monitoring
Paper provides guidance on selecting and interpreting monitoring tools; a continuously updated inventory of key categories of tools; and suggestions on how to carry out systemic risk monitoring
IMF paper weighs effect of shifting bank funding in eastern Europe
Researchers from the International Monetary Fund find banks rebalancing their funding sources away from foreign loans; warns global regulation may make this process too rapid
Basel’s ‘99.9% standard’ for op risk is unreliable, says ORX chief
Giulio Mignola says Basel II's 'one-in-a-thousand-years' threshold for tail risk is fundamentally flawed
Belgian supervisor warns against Basel III over-simplification
National Bank of Belgium’s Rudi Bonte calls for the Basel Committee to take a ‘moderate’ stance on the trade-off between simplicity and complexity in its risk and capital rules
IMF paper explores link between low interest rates and bank risk-taking
Working paper finds banks take more risks in low short-term interest rate environment; more so if they are well capitalised
Basel securitisation reform creates 'perverse incentives’, says senior Japanese banker
Inconsistent rules are damaging financial intermediation, according to Takashi Oyama of Norinchukin Bank
Bank of Israel’s outgoing chief, Stanley Fischer, on the challenges of central banking
Stanley Fischer believes his work as governor of the Bank of Israel is done. He tells Chris Jeffery about the reform process in Israel as well as the challenges facing the world economy and the IMF
HKMA's Chan identifies inherent flaws in risk models
HKMA chief questions the use of financial models in risk management; argues the inability of models to account for irrationality is a major defect
Danish paper uses three centuries of data to show tail risks underestimated
Research says severe stress cannot be properly understood with short time horizons; suggests results could be used to design tougher stress tests
Bundesbank research proposes improved structure for counterparty credit risk
Discussion paper finds ‘quadri-partite’ structure gives best results for managing counterparty credit risk
Polish paper examines banks’ risks when state safety net grows
Study finds that banks in central Europe take higher levels of risks under a larger deposit insurance scheme; less so in times of financial crisis
FSB to assess efforts to end ‘mechanistic reliance’ on credit ratings
Peer reviews aim to hasten a move away from rating agencies, with countries expected to eliminate references to credit ratings from laws and encourage better internal credit risk assessments
Chilean paper finds room to reduce risk by diversifying investment in Brics
Statistical analysis finds little co-integration of stock market vectors in Latin America and the Bric countries; says this gives investors a good opportunity to diversify, which would reduce risk
Nalm 2013: Sound central bank risk practices could choke off liquidity
Central banks are more activist in reserves management, with some looking to private sector for inspiration. But there are dangers with such a approach, say panellists at Central Banking conference
Bundesbank paper raises concerns over accuracy of systemic risk measures
Researchers find market-based systemic risk measures may give a façade of safety even as banks enter ‘major tail risks’
ECB’s LTROs contribute to 12% drop in repo transactions
Icma report warns ‘abundant’ liquidity provided by ECB’s long-term refinancing operations is undermining the repo market in Europe; notes signs of increased risk appetite
IMF paper advocates hybrid discretion and rules-based macro-prudential policy
Researchers say discretionary systems can be gamed but rules struggle to properly account for risk; combination of ‘strong baseline’ and time-varying component gives best results